Does the weekday effect of the yen/dollar spot rates exist in Tokyo, London, and New York?
Author InfoHai-Chin Yu Ingyu Chiou James Jordan-Wagner Abstract Using probability distribution techniques, this article explores whether any differences exist between the returns and volatility of yen/dollar spot markets in Tokyo, London and New York. After the intraday returns were fit into probability distributions, New York is found to have the highest return, followed by London, and then Tokyo. In estimating the peaks and widths of the distributions of volatility, Tokyo is found to have the lowest volatility in the log-normal distribution, while London and New York show similar volatility distributions, implying similar investor risk-return preference behaviour in the London and New York markets. The findings also imply that arbitrage opportunities between London and New York could be trivial. After estimating the panel distribution from Monday to Friday across the three markets, we found that the Monday effect disappears. Instead, Tuesday shows negative and significantly lower ret
